文章基本信息

标题：The Volatility of the Index of Shanghai Stock Market Research Based on ARCH and Its Extended Forms
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作者：Hao Liu ; Zuoquan Zhang ; Qin Zhao 等
期刊名称：Discrete Dynamics in Nature and Society
印刷版ISSN：1026-0226
电子版ISSN：1607-887X
出版年度：2009
卷号：2009
DOI：10.1155/2009/743685
出版社：Hindawi Publishing Corporation
摘要：The proposed ARCH and its extension model have brought a powerful tool for the study of stock market volatility as well as verify that a “high risk brings high-yield” and the “leverage effect” of stock market. This paper gives modeling analysis by using the ARCH group models; in the last ten years Shanghai's index returns, concluded that there are significant “high-yield associated with high-risk” phenomenon and the “leverage effect” in the domestic securities market. The previous studies in fitting return series of ARMA models, mostly with low accuracy have a very subjective “observation autocorrelation and partial autocorrelation function method,” and even directly use “random walk” model. That will inevitably have some impact on the accuracy of the model. While this paper adopts the Pandit-Wu formulaic modeling method, the ARMA model is built on a strong theoretical foundation.